riskSimul
Risk Quantification for Stock Portfolios under the T-Copula Model
Implements efficient simulation procedures to estimate tail loss probabilities and conditional excess for a stock portfolio. The log-returns are assumed to follow a t-copula model with generalized hyperbolic or t marginals.
- Version0.1.2
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release09/16/2023
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Team
Wolfgang Hormann
Ismail Basoglu
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- Depends1 package